4.37%
The Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc is a UCITS compliant exchange traded fund that aims to track the benchmark index S&P 500 VIX Futures Roll Enhanced TR. The S&P 500 VIX Futures Roll Enhanced TR dynamically switches between a short-term VIX futures portfolio and a mid-term VIX futures portfolio in order to model a cost efficient exposure to volatility in the broad equity market. The short-term VIX futures portfolio is represented by the S&P 500 VIX Short-Term Futures Index. The mid-term VIX futures portfolio models a daily rolling position in the third, fourth and fifth month VIX futures contracts. The allocation are evaluated daily, though changes in allocation may occur less frequently. The complete construction of the index is available on www.standardandpoors.com. Lyxor ETFs are efficient investment vehicles listed on exchange that offer transparent, liquid and low-cost exposure to the underlying benchmark index.
The figures relating to [past performances / simulated past performances / past performances and simulated past performances] refer or relate to past periods and are not a reliable indicator of future results. This also applies to historical market data.
Product | YTD | 1M | 3M | 6M | 1Y | 3Y | 5Y | ALL |
---|---|---|---|---|---|---|---|---|
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc ETF | 4.37% | 0.9% | -15.68% | -26.85% | 59.32% | 32.03% | -77.13% | -90.99% |
S&P 500 VIX Futures Roll Enhanced TR Benchmark Index | 4.46% | 1.03% | -15.32% | -26.22% | 61.9% | 37% | -75.85% | -90.22% |
Product | 2020 | 2019 | 2018 | 2017 |
---|---|---|---|---|
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc ETF | 42.04% | -34.7% | 26.32% | -63.76% |
S&P 500 VIX Futures Roll Enhanced TR Benchmark Index | 44.36% | -33.82% | 27.22% | -63.44% |
This ETF uses synthetic replication to track the performance of the index. As such, the holdings of the ETF may vary from that of the benchmark index.
You can read more about our approach to replication in our
pragmatic guide to replication.
Name | Listing Currency | Quantity | Weight |
---|---|---|---|
MICROSOFT CORP | USD | 34,680 | 8.95% |
AMAZON.COM INC | USD | 2,375 | 8.92% |
Anthem Inc | USD | 19,122 | 7.07% |
FACEBOOK INC-CLASS A | USD | 14,913 | 4.59% |
Apple Inc | USD | 29,483 | 4.48% |
ALPHABET INC-CL C | USD | 2,062 | 4.48% |
KRAFT HEINZ CO/THE | USD | 114,873 | 4.34% |
PAYPAL HOLDINGS INC | USD | 14,552 | 4.09% |
DAINIPPON SCREEN MFG CO LTD | JPY | 41,394 | 4.08% |
Chevron Corp | USD | 33,517 | 3.68% |
Swap Information | |
---|---|
Basket Adjustment | The basket is daily adjusted to the fund outstanding level. |
Counterparty Risk Level | N/A |
Swap Counterparty | Société Générale |
Date | 20/01/2021 |
1 week moving average of counterparty risk level
Counterparty risk level at daily adjustment time
Swap Price Component |
---|
Although past performance is no indicator of future performance, you can get an estimation of the swap price component over the last 12 months by adding the TER to the realized Tracking Difference. the price of being long the index and short the basket of securities held by the ETF (ie. the spread applicable to the index performance provided by the swap counterparty) can be understood as the swap price component. The latter can be positive or negative, depending on the following factors: Read more
1Y Tracking Difference | -3.03% |
Total Expense Ratio | +0.6% |
Swap price component estimation | =-2.43% |
Full Name | S&P 500 VIX Futures Roll Enhanced TR |
Index Type | Performance |
Index Bloomberg Ticker | SPVIXETR |
Index Currency | USD |
Number of Index Components | 0 |
Further Information | www.spindices.com |
ISIN | LU0832435464 |
UCITS | Yes |
Share Class Currency | EUR |
Assets Under Management | 70.9m EUR |
Total Expense Ratio | 0.6% |
Dividend Treatment | Capitalisation |
EU-SD Status | Out of Scope |
Fund Type | SICAV |
Domicile | Luxembourg |
Replication Method | Indirect (Swap Based) |
Umbrella AUM | 38,083.4m EUR |
ISA | Yes |
SIPP | Yes |
German Tax Transparency | Yes |
Financial Year End | 31/12/2021 |
Portfolio Managers | Raphaël Dieterlen, Jean-Marc Guiot |
Swap Counterparty | Société Générale |
Full Property of the Assets | Yes |
UKFRS | Yes |
Inception Date | 25/09/2012 |
Minimum Investment | 1 Share |
DISCLAIMER: This fund includes a risk of capital loss. Investors therefore may not recover all or part of their initial investment. The redemption value of this fund may be less than the amount initially invested. In a worst case scenario, investors could sustain the loss of their entire investment. Be sure to read carefully the Key Investor Information document, and the “risk factors” section of a fund’s performance to better understand the risks involved.
Exchange | Ticker Bloomberg | Listing Currency | Currency Hedged | Listing Date | Dividend Policy | ADV 3M | ISIN | Fund AUM in CCY |
---|---|---|---|---|---|---|---|---|
Euronext | LVX BB | USD | - | 06/10/2017 | Capitalisation | 11,846USD | LU0832435464 | 86m USD |
Borsa Italiana | LVO IM | EUR | - | 29/01/2013 | Capitalisation | 953,343EUR | LU0832435464 | 71m EUR |
Xetra | VOOL GY | EUR | - | 17/12/2012 | Capitalisation | 501,034EUR | LU0832435464 | 71m EUR |
Euronext | LVO NA | EUR | - | 30/11/2012 | Capitalisation | 134,408EUR | LU0832435464 | 71m EUR |
Flow Traders |
Optiver |
Société Générale |
ETF Name | Type | Language | Publication Date | Size |
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc |
Factsheets | English | 31/12/2020 | 186 Ko |
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc |
Prospectus | English | 22/06/2020 | 4656 Ko |
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc |
KIID | English | 10/07/2020 | 209 Ko |
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc |
Annual Reports | English | 31/12/2019 | 8746 Ko |
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc |
Semi-Annual Reports | English | 30/06/2020 | 1997 Ko |
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc |
UKRFS Reports | English | 15/03/2019 | 262 Ko |
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc |
ESG | English | 31/12/2018 | 187 Ko |
Notice to Shareholders Notice - Amalgamation of classes - Lyxor SP500 VIX